Search Results - subject:"Volatility Smirk"

Analysing implied volatility smirk to predict the US stock market crash during the global financial crisis

Bhuiyan, Tanvir; Hoque, Ariful; Le, Thi - In: Journal of open innovation : technology, market, and … 9 (2023) 4, pp. 1-12

This study analyses the presence of implied volatility smirk (IVS) and its predictability of the US stock market crash …

Persistent link: https://www.econbiz.de/10014513692

Volatility Smirk as an Externality of Agency Conflict and Growing Debt

Jaskowski, Marcin; McAleer, Michael - 2013

Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is … volatility smirk, both for time series and cross sections of companies. These results may help to disentangle the leverage effect …

Persistent link: https://www.econbiz.de/10010326423

Volatility Smirk as an Externality of Agency Conict and Growing Debt

McAleer, Michael; Jaskowski, Marcin - Facultad de Ciencias Económicas y Empresariales, … - 2013

Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is … management and investors. It is predicted that the higher is the compensation of the manager, the steeper will be the volatility … smirk, both for time series and cross sections of companies. These results may help to disentangle the leverage eect from …

Persistent link: https://www.econbiz.de/10011162550

Volatility Smirk as an Externality of Agency Conflict and Growing Debt

Jaskowski, Marcin; McAleer, Michael - Tinbergen Instituut - 2013

Persistent link: https://www.econbiz.de/10011268659

Volatility smirk as an externality of agency conflict and growing debt

Jaskowski, Marcin; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009784936

Can standard preferences explain the prices of out-of-the-money S&P 500 put options?

Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2011

. Further, the model generates a steep shift in the implied volatility 'smirk' for S&P 500 options after the 1987 crash. This …

Persistent link: https://www.econbiz.de/10010292137

Explaining asset pricing puzzles associated with the 1987 market crash

Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010

The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic...

Persistent link: https://www.econbiz.de/10010292171

Stochastic Volatility

Andersen, Torben G.; Benzoni, Luca - School of Economics and Management, University of Aarhus - 2010

We give an overview of a broad class of models designed to capture stochastic volatility in financial markets, with illustrations of the scope of application of these models to practical finance problems. In a broad sense, this model class includes GARCH, but we focus on a narrower set of...

Persistent link: https://www.econbiz.de/10008504200

EMPIRICAL STUDY ON THE PERFORMANCES OF BLACK-SCHOLES MODEL FOR EVALUATING EUROPEAN OPTIONS

Vasile, Emilia; Armeanu, Dan - In: Journal for Economic Forecasting 6 (2009) 1, pp. 48-62

In this study we aim at analyzing the way the model Black-Scholes works in practice. The data used for analysis refer to European-type call options having as supportassets the CAC-40 money-market index. Our approach will be structured in two parts. The first will be dedicated to an estimate of...

Persistent link: https://www.econbiz.de/10005052118